Algorithmic Trading

Algos can help to balance market impact with risk to get the best price for large volume orders.

To Access Algos

  1. For Mosaic - In the Order Entry Panel, select the Order Type drop down menu followed by IBALGO.

    The Algorithmic Trading menu in TWS.

    For Classic TWS - Select the Order Ticket button in the left hand corner and click the IBALGO tab.

    The Algorithmic Trading menu in classic TWS.

  2. Select an Algo from the drop-down menus and fill out the necessary parameters.

Our growing family of Algos includes the following IBKR Algos :

  • Accumulate Distribute - Use the Accumulate Distribute algo to buy or sell large quantities in smaller, random sized increments over time, minimizing market impact. This algo supports multiple asset classes including stocks, options, futures, forex, and combination orders. For more information see the Accumulate Distribute page.

  • Adaptive Algo - This algo can be used with a limit or market order, and is designed to achieve better than average cost efficiency over basic limit and market orders by attempting to trade market and aggressive limit orders between the spread. You can specify how urgently you want the order to fill using the "priority/urgency" selector in the algo window. For more information see the Adaptive Algo page.

  • Arrival Price - This strategy is designed to achieve or outperform the bid/ask midpoint price at the time the order is submitted, taking into account the user-assigned level of market risk which defines the pace of the execution, and the user-defined target percent of volume. For more information see the Arrival Price page.

  • Close Price Strategy - The Close Price algo is designed to minimize slippage with respect to the closing price by slicing orders into smaller quantities and executing them in the continuous market just before the close. It considers the user-assigned level of market risk, the user-defined target percentage of volume, and the volatility of the stock in determining how long before the close it should start executing the trade, and the pace at which the trade should be executed. For more information see the Close Price Strategy page.

  • Dark Ice - The Dark Ice algo is similar to an iceberg or reserve order, as it allows the user to specify a display size different from the order size, which is shown in the market. Additionally, the algo randomized the display size +/- 50%, and based on the calculated probability of the price moving favorably, it decides whether to place the order at the limit price or one tick lower than the current offer for buy orders and one tick higher than the current bid for sell orders. For more information see the Dark Ice page.

  • MidPrice - The MidPrice order attempts to fill at the current midpoint of the NBBO or better. Set an optional price cap to define the highest price (for a buy order) or the lowest price (for a sell order) you are willing to accept.For a more detailed description of MidPrice orders and the products and exchanges on which they're supported, visit the MidPrice Orders information page.

  • Percentage of Volume Strategy - Allows you to participate in volume at a user-defined rate. Order quantity and volume distribution over the day is determined using the target percent of volume you entered along with continuously updated volume forecasts calculated from market data. For more information see the Percent of Volume page.

  • Price Variant Percentage of Volume Strategy - This algo allows you to participate in volume at a user-defined rate that varies over time based on the price of the security. It lets you buy more aggressively when the price is low and less aggressively as the price increases, and just the opposite for sell orders. For more information see the Variant Algo page.

  • Size Variant Percentage of Volume Strategy - This algo strategy allows your order to work more aggressively at the start and less aggressively towards the end, or vice versa. It lets you participate via volume at a user-defined rate that varies with time based on the remaining order quantity. For more information see the Variant Algo page.

  • Time Variant Percentage of Volume Strategy - This algo strategy allows your order to work more aggressively at the start and less aggressively towards the end, or vice versa. It lets you participate via volume at a user-defined rate that varies with time based on the initial and terminal participation rates that you specify. The algo will then calculate the rate of participation between the start and end times. For more information see the Variant Algo page.

  • TWAP - Designed to achieve the time-weighted average price calculated from the time the order is submitted to the close of the market. For more information see the TWAP page.

  • VWAP - Designed to achieve or outperform the VWAP price, calculated from the time you submit the order to the close of the market. For more information see the VWAP page.

  • Minimize Impact (for Options) - Designed to minimize market impact by slicing the order over time as defined by the Max Percentage value. This algo applies to Options only. For more information see the Minimize Impact page.

  • Balance Impact and Risk (for Options) - Balances the market impact of trading the option with the risk of price change over the time horizon of the order by taking into account the user-assigned level of market risk which defines the pace of the execution, and the user-defined target percent of volume. For more information see the Balance Impact and Risk page.